Shenmue is too much of an unknown. Phantasy Star could have saved the Saturn. If they would have made a Finay Fantasy VII calibur Phantasy Star V and stuck with the series, they could have made a big name for themselves.
RPGs caught on during the PSX era. Sega lost their most loyal RPG dev, Working Designs, due to giving them a bad spot at the Sega booth. After that it all became history. Working Designs ended up making the last Saturn game in the US, as they did with the Sega CD. Sega moved on to Dreamcast without an RPG dev and lost. Working Designs was Sega's secret weapon, whether they knew it or not. That is the only gripe that I hold towards Sega. They didn't treat their most valuable third party right. Working Designs stuck with Sega from the start on their own free will, no money from Sega here. Sega needed Working Designs to survive and Working Designs needed Sega to survive. Once the ties broke, it was over for both. Sega had nothing to counter Final Fantasy. On the other end, Working Designs went into a saturated market. PSX had too many RPG devs and they got lost in the fold. Greatness is easier to spot when there is no competition, ala PS3.
Working Designs, my favorite dev, R.I.P., please make a comeback (ala Gaijinworks) like you said. >_<